(1) The use of high-flow nasal cannula (HFNC) combined with frequent respiratory monitoring in patients with acute hypoxic respiratory failure due to COVID-19 has been shown to reduce intubation and mechanical ventilation. (2) This prospective, single-center, observational study included consecutive adult patients with COVID-19 pneumonia treated with a high-flow nasal cannula. Hemodynamic parameters, respiratory rate, inspiratory fraction of oxygen (F_iO₂), saturation of oxygen (S_pO₂), and the ratio of oxygen saturation to respiratory rate (ROX) were recorded prior to treatment initiation and every 2 h for 24 h. A 6-month follow-up questionnaire was also conducted. (3) Over the study period, 153 of 187 patients were eligible for HFNC. Of these patients, 80% required intubation and 37% of the intubated patients died in hospital. Male sex (OR = 4.65; 95% CI [1.28; 20.6], p = 0.03) and higher BMI (OR = 2.63; 95% CI [1.14; 6.76], p = 0.03) were associated with an increased risk for new limitations at 6-months after hospital discharge. (4) 20% of patients who received HFNC did not require intubation and were discharged alive from the hospital. Male sex and higher BMI were associated with poor long-term functional outcomes.